I'm not sure if I understand your question. The slider currently links to the post through the post title and excerpt text that appear. If you click on either of those, it should go to the post that is being displayed.

Is there some other action that you want to occur, or is this not working for you? If so, can I see a link to your site with it set up?

The slide itself is a full link, but for some reason it is not linking everything on your site. Are you on the current version of the plugin? Have you tried it elsewhere (a different site) to see if it works as intended? I just want to confirm what I can from my end. The intention is for the image and caption to be wrapped in a link, but for some reason they are showing up outside of one on your site.